PYGBM

A python package to create simulations of geometric browninan motion

Features

It can be used as a python package by importing it, as shown in the test, or it can be used inline in linux.

Installation

Download the pygbm repo and use pip install -e ..

Usage

The class GBMSimulator is initialised with the starting location, the drift and the diffusion of the system, and then the method simulate_path can be run to get the path.

An example simulation is below:

from pygbm.gbm_simulator import GBMSimulator
import matplotlib.pyplot as plt

# Parameters for GBM
y0 = 1.0
mu = 0.05
sigma = 0.2
T = 1.0
N = 100

# Initialize simulator
simulator = GBMSimulator(y0, mu, sigma )

# Simulate path
t_values, y_values = simulator.simulate_path_analytical(T, N)

# Plot the simulated path
plt.plot(t_values , y_values , label ="GBM Path")
plt.xlabel(" Time ")
plt.ylabel("Y(t)")
plt.title("Simulated Geometric Brownian Motion Path")
plt.legend()
plt.show()

This program can also be run on the cli by using the pygbm command, with the method subargument, as below

pygbm euler --y0 1.0 --mu 0.05 --sigma 0.2 --T 1.0 --N 100 --output gbm_plot.png

Documentation

To change Link to the documentation page.

Contributing

Contributions via pull requests are welcome!

License

This project is licensed under the MIT License - see the LICENSE file for details.

Check out the Usage section for further information, including how to Installation the project.